Strategic Interactions and Portfolio Choice in Money Management : Evidence from Colombian Pension Funds

Pedraza Morales, Alvaro

World Bank Group, Washington, DC

关键词: ACCOUNTING;    AGGREGATE FUND;    ASSET ALLOCATION;    ASSET CLASSES;    ASSET MANAGEMENT;   

DOI  :  10.1596/1813-9450-6994
RP-ID  :  WPS6994

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

This paper studies the portfolio choiceof strategic fund managers in the presence of a peer-basedunderperformance penalty. Evidence is taken from theColombian pension fund management industry, where six assetmanagers are in charge of portfolio allocation for themandatory contributions of the working population. Thesemanagers are subject to a peer-based underperformancepenalty, known as the Minimum Return Guarantee. The tradingbehavior by the managers is studied before and after achange in the strictness of the guarantee in June 2007. Theevidence suggests that a tighter minimum return guaranteeresults in more trading in the direction of peers, abehavior that is more pronounced for underperformingmanagers. These managers rebalance their portfolios bybuying securities in which they are underexposed relative totheir peers, as opposed to selling assets in which they areoverexposed. Overall, the results suggest that incentivesfor managers to be close to industry benchmarks play animportant role in the portfolio allocation of these funds.